SMCF[Strategy] vs INav[Benchmark]

28 Feb, 2025 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	88.0%	100.0%
Cumulative Return	0.99%	0.72%
CAGR﹪	1.6%	1.16%
Sharpe	0.05	-0.54
Prob. Sharpe Ratio	25.83%	26.19%
Smart Sharpe	0.03	-0.32
Sortino	0.08	-0.56
Smart Sortino	0.05	-0.33
Sortino/√2	0.05	-0.4
Smart Sortino/√2	0.03	-0.24
Omega	1.02	1.02
Max Drawdown	-16.5%	-5.61%
Longest DD Days	200	148
Volatility (ann.)	37.2%	9.22%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.1	0.21
Skew	2.14	-7.38
Kurtosis	55.14	66.99
Expected Daily	0.01%	0.01%
Expected Monthly	0.11%	0.08%
Expected Yearly	0.99%	0.72%
Kelly Criterion	25.63%	-33.14%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.82%	-0.95%
Expected Shortfall (cVaR)	-3.82%	-0.95%
Max Consecutive Wins	7	15
Max Consecutive Losses	4	2
Gain/Pain Ratio	0.1	0.06
Gain/Pain (1M)	0.89	0.18
Payoff Ratio	1.23	0.17
Profit Factor	1.1	1.06
Common Sense Ratio	1.08	0.72
CPC Index	0.8	0.15
Tail Ratio	0.98	0.68
Outlier Win Ratio	2.99	11.7
Outlier Loss Ratio	2.69	4.39
MTD	-0.35%	-1.36%
3M	2.44%	1.36%
6M	1.48%	0.34%
YTD	0.99%	0.72%
1Y	0.99%	0.72%
3Y (ann.)	1.6%	1.16%
5Y (ann.)	1.6%	1.16%
10Y (ann.)	1.6%	1.16%
All-time (ann.)	1.6%	1.16%
Best Day	19.88%	0.5%
Worst Day	-16.07%	-5.61%
Best Month	1.73%	2.08%
Worst Month	-4.12%	-3.95%
Best Year	0.99%	0.72%
Worst Year	0.99%	0.72%
Avg. Drawdown	-5.49%	-1.54%
Avg. Drawdown Days	43	31
Recovery Factor	0.06	0.13
Ulcer Index	0.03	0.02
Serenity Index	-0.91	-0.35
Avg. Up Month	1.26%	1.15%
Avg. Down Month	-2.24%	-2.66%
Win Days	58.97%	80.45%
Win Month	62.5%	75.0%
Win Quarter	50.0%	50.0%
Win Year	100.0%	100.0%
Beta	0.11	-
Alpha	0.08	-
Correlation	2.81%	-
Treynor Ratio	-53.01%	-